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2258Copula Desk Intuition 3Why does matching single-name spreads still leave a lot of freedom in basket-loss modeling?数理金融困难essay未尝试面试订阅2260Copula Desk Intuition 5Why is tail dependence really about bad states lining up, not just about average correlation looking high?数理金融困难essay未尝试面试订阅2261Copula Desk Intuition 6Why can a Gaussian copula fit one slice of quoted tranches and still be economically unconvincing?数理金融困难essay未尝试面试订阅2262Copula Desk Intuition 7Why do structured-credit desks still run scenario tables after calibrating a copula?数理金融困难essay未尝试面试订阅2263Copula Desk Intuition 8Why does sector concentration often break the spirit of a single-factor dependence model before the math breaks?数理金融困难essay未尝试面试订阅2264Copula Desk Intuition 9Why do attachment and detachment points turn a small change in dependence into a large change in tranche value?数理金融困难essay未尝试面试订阅2265Copula Desk Intuition 10Why can recovery assumptions and dependence assumptions interact instead of being separable knobs?数理金融困难essay未尝试面试订阅2266Copula Desk Intuition 11Why should a modeler distrust a dependence setup that implies a very benign calm regime and an absurdly catastrophic stress regime?数理金融中等essay未尝试面试订阅2267Copula Desk Intuition 12Why is nth-to-default risk more about ordering of losses than about one representative pairwise correlation?数理金融中等essay未尝试面试订阅2268Copula Desk Intuition 13Why is historical estimation of tail dependence usually much less reliable than historical estimation of calm-state default frequency?数理金融中等essay未尝试面试订阅2269Copula Desk Intuition 14Why is 'correlation smile' really a market symptom of model incompleteness rather than a literal smile of one primitive quantity?数理金融中等essay未尝试面试订阅2270Copula Desk Intuition 15Why do traders care whether a copula story is economically interpretable even if the day-one marks look fine?数理金融中等essay未尝试面试订阅2321Unilateral CVA Recovery 1A unilateral CVA approximation is CVA = LGD * DF * EE * PD. If LGD = 0.6, DF = 0.97, PD = 0.02, and CVA = 0.01164, what expected exposure EE is implied?数理金融中等数值题未尝试面试订阅2322Unilateral CVA Recovery 2A desk uses CVA = LGD * DF * EE * PD for a one-period approximation. If LGD = 0.55, DF = 0.95, EE = 1.4, and CVA = 0.01463, what default probability PD is implied?数理金融中等数值题未尝试面试订阅2323Unilateral CVA Recovery 3Using CVA = LGD * DF * EE * PD, suppose LGD = 0.4, EE = 2, PD = 0.015, and CVA = 0.0096. What discount factor DF is implied?数理金融中等数值题未尝试面试订阅2324Unilateral CVA Recovery 4For a one-period unilateral CVA, CVA = LGD * DF * EE * PD. If DF = 0.96, EE = 1.8, PD = 0.0175, and CVA = 0.012096, what LGD is implied?数理金融中等数值题未尝试面试订阅2325Unilateral CVA Recovery 5A simple unilateral CVA approximation uses CVA = LGD * DF * EE * PD. If LGD = 0.45, DF = 0.985, EE = 1.1, and PD = 0.012, what CVA does that imply?数理金融中等数值题未尝试面试订阅2356Wrong-Way-Risk Judgment 6Why can collateral reduce but not fully cure wrong-way risk?数理金融困难essay未尝试面试订阅2357Wrong-Way-Risk Judgment 7Why can diversifying counterparties reduce wrong-way risk even when each single trade still has the same market exposure logic?数理金融困难essay未尝试面试订阅2358Wrong-Way-Risk Judgment 8Why can break clauses or shorter maturities matter so much for wrong-way risk mitigation?数理金融困难essay未尝试面试订阅